International Asset Allocation with Time-Varying Investment Opportunities

Allan Timmermann and David Blake

The Journal of Business, 2005, vol. 78, issue 1, 71-98

Abstract: This paper analyzes the international equity holdings of a large panel of U.K. pension funds. We model portfolio weights as a function of time-varying conditional moments and find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected returns, volatilities, and covariances with domestic equity returns. Estimates of returns from international market timing suggest a net loss of 0.2% per annum for the average fund.

Date: 2005
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Working Paper: International Asset Allocation with Time-Varying Investment Opportunities (2002)
Working Paper: International asset allocation with time-varying investment opportunities (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:78:y:2005:i:1:p:71-98

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